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| From | Christopher Baum <kit.baum@bc.edu> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | st: re: ivreg2 question |
| Date | Tue, 1 May 2012 20:09:30 -0400 |
<>
Jana said
OK. All I've ever read is that it is "the convention" to include the exogenous predictors in step 1. I haven't looked far into the econometrics however. It makes no substantive theoretical sense forsome of my step 2 predictors to be in step 1; that was my motivation...
There is no 'step 1' or first-stage regression involved with 2SLS. It is a single formula in the Xs and Zs. See Baum, Schaffer, Stillman, Stata Journal 2003 (cited in ivreg2 help) for a discussion of this point.
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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